Bad tick appearing in realtime, but not when reloaded

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Januson
Posts: 119
Joined: 18 Apr 2007
Location: Denmark

Bad tick appearing in realtime, but not when reloaded

Postby Januson » 28 Nov 2008

I'm experiencing bad ticks from eSignal daily, well.. actually it is not bad ticks, it's internal trades from broker A to broker A with a special accepted and out of boundaries price.
The funny thing though, they disappear when I reload the chart (CTRL-r)


I'm in the process of creating an automated strategy, but actually it's quite impossible to create such if we can't filter out the bad ticks.

:x

Can one force a reload from inside a strategy?

Could a possible solution be, it should be fairly easy to create and I'm sure there are situations which require a more sophisticated approach, BUT nevertheless:
Only trades with a normal TickSize should be accepted and also single trades which suddenly appear with a price outside of some predefined dynamic scope should be filtered out :D
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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 01 Dec 2008

Hi Januson,

We will start working on a bad tick filter early next year. It will be customizable and you will be able to define yourself what ticks will be filtered.

However, in this particular case, the price is different by only 2%. I am not sure about this particular symbol, however, for many symbols this deviation will be within their normal volatility.

How do you think the filter should work? Do you have any suggestions? (when making those, please keep in mind that the algorithm should be applicable to all symbols).

Thank you.


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